fed speech tone intraday
What it checks
Hawkish Fed speech → SPY/QQQ drift down 1-3 days.
Mechanism
Hawkish Fed speeches (LM tone z < -1) → 1-3d index drift down.
Signal rule
speech-day LM tone z < -1 → short SPY/QQQ/IWM; hold 1/3d
Data dependencies
daily_pricesAdjusted-close OHLCV for every US-listed ticker; primary price feed.
fed_speechesWorker data table — see services/worker schema.
Expected edge
- Paper alpha
- 10-40 bps
- Paper window
- T+0 to T+3d
Hu-Pan-Wang-Zhu 2022: 10-40 bps over 1-3d.
Example tickers where this is likely to fire
Illustrative only — the signal fires based on the live data, not a fixed list.
Related families
pre fomc driftMacroPre-FOMC drift: SPX abnormally returns ~+0.50% in the 24h before each scheduled FOMC announcement (1994-2011 sample, Lucca-Moench 2015 NY Fed SR-512). The 2024 Applied Economics update finds the drift persists post-2011 but concentrates on press-conference meetings (every meeting since 2019). This family extends the basic version by sweeping multiple pre-windows (1d/2d/3d before), a pre+post combo (long ~3d pre, short 1d post the fade), and a press-conference meeting filter.
macro regimeMacroBeyond regime_overlay (#10) which uses VIX + SPY trend, this family keys off the macro regime detected from FRED data: term-spread inversion (10Y−2Y < 0), credit-spread widening or compression (BAA−10Y z), and Fed funds cycle direction. Single-name version: gate the simple long-trend signal (SMA50 > SMA200) on the FRED macro regime — full long only in risk-on, half-size in neutral, flat in risk-off, short in inversion.
Explore fed speech tone intraday on alphactor.ai
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